Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0369 |
| Annualized Std Dev | 0.3052 |
| Annualized Sharpe (Rf=0%) | 0.1210 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5210.0000 |
| NAs | 1.0000 |
| Minimum | -0.1724 |
| Quartile 1 | -0.0070 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0080 |
| Maximum | 0.1710 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0004 |
| Stdev | 0.0192 |
| Skewness | 0.3415 |
| Kurtosis | 13.9162 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0134 |
| Gain Deviation | 0.0154 |
| Loss Deviation | 0.0148 |
| Downside Deviation (MAR=210%) | 0.0177 |
| Downside Deviation (Rf=0%) | 0.0132 |
| Downside Deviation (0%) | 0.0132 |
| Maximum Drawdown | 0.8289 |
| Historical VaR (95%) | -0.0269 |
| Historical ES (95%) | -0.0452 |
| Modified VaR (95%) | -0.0240 |
| Modified ES (95%) | -0.0240 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-21 | 2009-03-06 | 2018-01-17 | -0.8289 | 2747 | 515 | 2232 |
| 2020-02-20 | 2020-03-23 | 2021-01-07 | -0.4432 | 224 | 23 | 201 |
| 2001-01-31 | 2002-10-09 | 2003-12-29 | -0.3661 | 730 | 423 | 307 |
| 2018-01-29 | 2018-12-24 | 2019-10-28 | -0.2575 | 441 | 229 | 212 |
| 2000-09-13 | 2000-10-12 | 2000-12-28 | -0.1455 | 74 | 21 | 53 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | -2.4 | 0.6 | 0.1 | -0.1 | -0.9 | -0.3 | -1 | -3.9 |
| 2001 | 0.4 | 0.1 | 1.9 | 0.2 | 0.1 | -0.6 | 0.9 | 0.7 | 0.2 | 1.7 | -0.4 | 0.1 | 5.4 |
| 2002 | -0.4 | 1.2 | -0.8 | 0.4 | 0.4 | -1.7 | -1.9 | -0.2 | 4.1 | 1.8 | -0.5 | -0.7 | 1.5 |
| 2003 | 0.9 | 0.5 | 1.3 | -0.3 | 1.6 | 1.1 | -2.4 | 0.1 | 2.4 | 0.4 | 0.7 | 0.2 | 6.6 |
| 2004 | 0.7 | 0.7 | 0.8 | -0.4 | -0.6 | -1 | -0.2 | -0.2 | 1.4 | 0.2 | 1.9 | 0 | 3.3 |
| 2005 | 1.3 | 1.2 | -1.1 | 1.4 | 0.4 | -0.1 | 0.4 | 0.3 | -0.5 | -0.9 | 0.7 | -0.3 | 2.6 |
| 2006 | -0.3 | 0.6 | 0.3 | -1.6 | 1.3 | -0.3 | -0.1 | 0.2 | -0.2 | -1 | -0.6 | -0.8 | -2.6 |
| 2007 | 0.6 | -0.3 | -0.3 | 0.4 | 0.4 | -0.9 | 0.1 | 1.3 | 2.3 | -5 | 3.1 | 0.6 | 2.1 |
| 2008 | 2.3 | -4.4 | 7.8 | 4.5 | -1 | 1.2 | 0.8 | -0.3 | 3.5 | 4.9 | -16.2 | 3.6 | 4.6 |
| 2009 | -1.3 | -5.8 | 2.9 | -0.8 | 0.9 | -0.6 | 0.6 | -4.9 | -4 | -4.6 | 0 | -0.1 | -16.7 |
| 2010 | 1.4 | 0.1 | 0.9 | -2.4 | -2.1 | -0.7 | -0.2 | 4 | 1.1 | -0.4 | 2.3 | 0.2 | 4.1 |
| 2011 | 2.3 | -2 | 0.9 | -0.2 | -3.7 | 2.1 | -0.1 | -2.6 | -3.8 | -5.3 | -0.7 | -0.5 | -13.2 |
| 2012 | 1.7 | 1.5 | 0.2 | 1.2 | -4.2 | 2.7 | -0.8 | 0.6 | 0.9 | 1.9 | -0.3 | 1.4 | 7 |
| 2013 | 1.5 | 0.2 | -0.8 | -1.4 | -1.6 | 0.7 | 1.9 | -0.6 | 0.7 | 0.6 | -0.2 | 0.5 | 1.4 |
| 2014 | -1.5 | 0.4 | 0.5 | -0.1 | 0.2 | 0.9 | -1.2 | 0.4 | -1.4 | 1.4 | -1.1 | -1.1 | -2.7 |
| 2015 | -1.2 | -0.7 | -0.3 | 0.5 | 0 | 1.2 | -0.7 | -4 | 0.3 | -1.4 | 0.9 | -0.9 | -6.1 |
| 2016 | -0.6 | 3.9 | 0.9 | -0.8 | 0.4 | -0.6 | -0.6 | -0.5 | 1.4 | -0.4 | 1.4 | 0.3 | 4.9 |
| 2017 | 0.2 | 2.8 | -0.8 | 0.6 | 1.2 | -0.1 | 0.8 | 0.6 | 0.4 | 0.2 | 0 | -0.6 | 5.3 |
| 2018 | 1.1 | -1.6 | 1.8 | 0.1 | 1.3 | -0.1 | 0.3 | 0.1 | 0.3 | 0.8 | 1 | 0.9 | 6.2 |
| 2019 | 0.7 | 0.7 | 2.4 | -1 | -1.5 | 1.1 | -2 | 0.4 | -2 | 1.5 | -0.2 | 0.1 | 0 |
| 2020 | -2.3 | -1.9 | -6.2 | -3.3 | 1.2 | -0.7 | -0.4 | 0.2 | 0.9 | -0.1 | 1.5 | 1.1 | -9.9 |
| 2021 | 1.8 | 3.1 | -1.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-06-21 81.4 SPY 148. -6.00e-4 0 0.0556 -0.015 0.111 NA NA <NA> NA NA NA
2 2000-06-22 81 SPY 146. -1.50e-2 -0.0171 0.0553 -0.0451 0.103 NA NA <NA> NA NA NA
3 2000-06-23 82.2 SPY 144. -8.60e-3 -0.0151 0.0294 -0.0598 0.0962 NA NA <NA> NA NA NA
4 2000-06-26 81.8 SPY 146. 1.29e-2 -0.015 0.0609 -0.0375 0.0969 NA NA <NA> NA NA NA
5 2000-06-27 82.7 SPY 145. -7.40e-3 -0.0188 0.0519 -0.0391 0.0787 NA NA <NA> NA NA NA
6 2000-06-28 82.1 SPY 146. 2.80e-3 -0.0154 0.0199 -0.0374 0.0625 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
